Exchange Crisis Forecasting based on fractal analysis

E. A. Gafarova; D. V. Dobikova

Computer Science and Information Technologies, Computer Science and Information Technologies 2012

E. A. Gafarova, D. V. Dobikova

Last modified: 2021-04-16

Abstract

At present the problem of forecasting an economic crisis is very important. A new approach toexchange crisis forecasting is the fractal analysis.Fractal approach allows us to forecast periods ofinstability and currency devaluation. In this paperwe present the results of calculations of the fractaldimension of an R/S-analysis and the K-method,The method "moving window" was applied to studyof nonstationary dynamics of the fractal dimension.

Keywords

Exchange Crisis; fractal analysis; forecasting an economic

References

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2. Feder J. “Fractals”, Plenum Press, New York, 1988.
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4. Mukhametzyanov I. “Stochastic Indicators Applyingto Financial Time Series Analysis”, In: MaterialsDigest of All-Russian Scientific and ResearchConference, Neftekamsk, Ufa: Bashkir StateUniversity, 2009, pp. 137-145.

5. Peters E, “Fractal market analysis: applying chaostheory to investment and economics”, John Wiley andSons, New York, 1994.

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